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python wrapper

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Miha Kralj
2026-02-28 14:14:35 -08:00
parent 82e0248eb0
commit 83e9511261
521 changed files with 62395 additions and 15669 deletions
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lib/statistics/ztest/Ztest.Quantower.Tests.cs
-117
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using TradingPlatform.BusinessLayer;
using QuanTAlib;
namespace QuanTAlib.Tests;
public sealed class ZtestIndicatorTests
{
[Fact]
public void ZtestIndicator_Constructor_SetsDefaults()
{
var indicator = new ZtestIndicator();
Assert.Equal(30, indicator.Period);
Assert.Equal(0.0, indicator.Mu0);
Assert.True(indicator.ShowColdValues);
Assert.Contains("ZTEST", indicator.Name, StringComparison.Ordinal);
Assert.True(indicator.SeparateWindow);
Assert.True(indicator.OnBackGround);
Assert.Equal(SourceType.Close, indicator.Source);
}
[Fact]
public void ZtestIndicator_MinHistoryDepths_EqualsZero()
{
var indicator = new ZtestIndicator { Period = 30 };
Assert.Equal(0, ZtestIndicator.MinHistoryDepths);
IWatchlistIndicator watchlistIndicator = indicator;
Assert.Equal(0, watchlistIndicator.MinHistoryDepths);
}
[Fact]
public void ZtestIndicator_Initialize_CreatesInternalZtest()
{
var indicator = new ZtestIndicator { Period = 10 };
// Initialize should not throw
indicator.Initialize();
// After init, line series should exist
Assert.Single(indicator.LinesSeries);
Assert.Equal("t-stat", indicator.LinesSeries[0].Name);
}
[Fact]
public void ZtestIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
{
var indicator = new ZtestIndicator { Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
for (int i = 0; i < 20; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
var args = new UpdateArgs(UpdateReason.HistoricalBar);
indicator.ProcessUpdate(args);
}
double tStat = indicator.LinesSeries[0].GetValue(0);
Assert.True(double.IsFinite(tStat));
}
[Fact]
public void ZtestIndicator_DifferentSourceTypes()
{
var indicator = new ZtestIndicator { Period = 5, Source = SourceType.Open };
indicator.Initialize();
var now = DateTime.UtcNow;
for (int i = 0; i < 10; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
var args = new UpdateArgs(UpdateReason.HistoricalBar);
indicator.ProcessUpdate(args);
}
double tStat = indicator.LinesSeries[0].GetValue(0);
Assert.True(double.IsFinite(tStat));
}
[Fact]
public void ZtestIndicator_ShortName_IncludesPeriod()
{
var indicator = new ZtestIndicator { Period = 20 };
Assert.Equal("ZTEST(20)", indicator.ShortName);
}
[Fact]
public void ZtestIndicator_NewBar_UpdatesValue()
{
var indicator = new ZtestIndicator { Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
// Add enough bars to warm up
for (int i = 0; i < 10; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
var args = new UpdateArgs(UpdateReason.HistoricalBar);
indicator.ProcessUpdate(args);
}
_ = indicator.LinesSeries[0].GetValue(0);
// Add a new bar with a very different value
indicator.HistoricalData.AddBar(now.AddMinutes(10), 200, 210, 190, 205);
var newArgs = new UpdateArgs(UpdateReason.NewBar);
indicator.ProcessUpdate(newArgs);
double valueAfter = indicator.LinesSeries[0].GetValue(0);
// Value should change after adding a significantly different bar
Assert.True(double.IsFinite(valueAfter));
}
}
lib/statistics/ztest/Ztest.Quantower.cs
-63
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using System.Drawing;
using System.Runtime.CompilerServices;
using TradingPlatform.BusinessLayer;
namespace QuanTAlib;
[SkipLocalsInit]
public sealed class ZtestIndicator : Indicator, IWatchlistIndicator
{
[InputParameter("Period", sortIndex: 1, 2, 2000, 1, 0)]
public int Period { get; set; } = 30;
[InputParameter("Hypothesized Mean (μ₀)", sortIndex: 2)]
public double Mu0 { get; set; } = 0.0;
[IndicatorExtensions.DataSourceInput]
public SourceType Source { get; set; } = SourceType.Close;
[InputParameter("Show cold values", sortIndex: 21)]
public bool ShowColdValues { get; set; } = true;
private Ztest _ztest = null!;
private readonly LineSeries _series;
private Func<IHistoryItem, double> _priceSelector = null!;
public static int MinHistoryDepths => 0;
int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
public override string ShortName => $"ZTEST({Period})";
public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/ztest/Ztest.Quantower.cs";
public ZtestIndicator()
{
OnBackGround = true;
SeparateWindow = true;
Name = "ZTEST - One-Sample t-Test Statistic";
Description = "Computes the t-statistic for a one-sample hypothesis test against a hypothesized mean";
_series = new LineSeries(name: "t-stat", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
AddLineSeries(_series);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void OnInit()
{
_ztest = new Ztest(Period, Mu0);
_priceSelector = Source.GetPriceSelector();
base.OnInit();
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void OnUpdate(UpdateArgs args)
{
var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
double value = _priceSelector(item);
var time = this.HistoricalData.Time();
var input = new TValue(time, value);
TValue result = _ztest.Update(input, args.IsNewBar());
_series.SetValue(result.Value, _ztest.IsHot, ShowColdValues);
}
}